By Marisa Wong
Madison, Wis., Aug. 17 - Goldman Sachs Group, Inc. priced $14.98 million of 0% leveraged buffered index-linked notes due Sept. 6, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus double any index gain, up to a maximum settlement amount of $1,145 per $1,000 principal amount.
Investors will receive par if the index falls by up to 10% and will lose 1.1111% for each 1% decline beyond 10%.
The final index level will be the arithmetic average of the closing levels on the five consecutive trading days ending Aug. 31, 2011.
Goldman, Sachs & Co. is the underwriter with J.P. Morgan Securities as placement agent.
Issuer: | Goldman Sachs Group, Inc.
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Issue: | Leveraged buffered index-linked notes
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Underlying index: | S&P 500 index
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Amount: | $14,978,000
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Maturity: | Sept. 6, 2011
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 200% of any index gain, capped at 14.5%; 1.1111% loss for each 1% drop beyond 10%
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Initial index level: | 1,079.25
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Final index level: | Average of closing levels on five trading days ending Aug. 31, 2011
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Pricing date: | Aug. 13
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Settlement date: | Aug. 18
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Agents: | Goldman, Sachs & Co. and J.P. Morgan Securities Inc.
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Fees: | 1.1%
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Cusip: | 38143ULU3
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